Econ Papers Daily / 期刊论文
期权隐含信念中的过度变动
Excess Movement in Option‐Implied Beliefs
摘要
We derive bounds on the rational variation in option‐implied beliefs about market returns. While risk preferences distort option‐implied (or risk‐neutral ) beliefs away from subjective beliefs, one can nonetheless bound risk‐neutral belief movement under a general assumption on the stochastic discount factor. The resulting test requires no knowledge of the objective distribution and allows significantly more flexibility in discount rates than standard volatility tests. Implementing our test empirically using index options, we find that there is so much movement in risk‐neutral beliefs that the bounds are routinely violated. Our results imply significant excess index‐price volatility.
中文摘要
我们推导了关于市场回报的期权隐含信念理性变动的界限。尽管风险偏好会使期权隐含（或风险中性）信念偏离主观信念，但在对随机贴现因子的一般假设下，仍可对风险中性信念的变动施加界限。由此得到的检验无需了解客观分布，并且在贴现率方面比标准波动率检验允许更大的灵活性。利用指数期权对我们的检验进行实证实施，我们发现风险中性信念的变动如此之大，以至于这些界限经常被违反。我们的结果意味着显著的指数价格过度波动。